Position Sizing & DMAC

Discussions about Money Management and Risk Control.
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drip007
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Position Sizing & DMAC

Post by drip007 » Wed Jul 04, 2007 9:59 am

How does one size positions properly when using a Duan Moving Average Crossover system? With no stop loss, how can you proplerly size positions to limit risk? Anyone?

RedRock
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Post by RedRock » Wed Jul 04, 2007 1:37 pm

You could eithor use a percent of volatility to define risk and size allocation to that volatility regardless of actual exit..., or determine a hard stop which would exit before an adverse DMA crossing and use that value to determine position size.

Tim Arnold
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Post by Tim Arnold » Wed Jul 04, 2007 6:44 pm

The Trading Blox Dual Moving Average System uses a multiple of the ATR as the risk amount for money management purposes, even if there is no stop.

drip007
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Post by drip007 » Wed Jul 04, 2007 6:47 pm

Yes but then this would have neutral zones where I am not in the market. I have read about dmac systems such as the one mentioned in c.f.'s book (great read by the way, couldn't put it down) where the system is always in the market. I don't get how positions are sized where a system can be in the market at all times. This means there is no stop. With no stop, how can you control risk? How can you size positions?

stancramer
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Post by stancramer » Wed Jul 04, 2007 8:00 pm


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